Luisa Tibiletti

 

 

Associate Professor of Mathematics for Finance and Economics
Dept. Statistics and Mathematics
Corso Unione Sovietica 218/bis, I-10134 Torino, Italy
email: luisa.tibiletti@unito.it
Fax: ++39 011 670 5783
skype user: luisa.tibiletti

 

Foto Professoressa Tibiletti

 

Fields of interest

Mathematical Finance, Stochastic Order, Performance measures

 

 

Research

Selected Papers (available upon request)

2011

  1. Eling M., Farinelli S., Rossello D., Tibiletti L. (2011) One-Size or Tailor-Made Performance Ratios for Ranking Hedge Funds? Journal of Derivatives & Hedge Funds,16, 267-277 (February 2011) | doi:10.1057/jdhf.2010.20  ISSN: 1753-9641
  1.  Sudheesh Kumar Kattumannil, Tibiletti L. (2011) On  Moment  Identity for discrete random     variable and its applications,  Statistics,  A Journal of Theoretical and Applied Statistics,  ISSN 0233-1888 forthcoming.

2010

1.   Eling M., Tibiletti L. (2010) “Internal vs. External Risk Measures: How Capital Requirements Differ in Practice", Operations Research Letters, Operations Research Letters, ISSN: 0167-6377, 38 (2010) 482–488.

2.   Eling M., Farinelli S., Rossello D., Tibiletti L. (2010) “Tail Risk in Hedge Funds: Classical Skewness Coefficients vs Azzalini's Skewness Parameter”, International Journal of Managerial Finance, ISSN: 1743-9132, Vol. 6 No. 4, 290-304

3.   Eling M., Tibiletti L. (2010) Sharpe Ratio for skew-elliptical distributions: a skewness-dependent performance trade-off? Journal of Performance Measurement, forthcoming.

4.   Eling M., Sudheesh K.K., Tibiletti L. (2010) How skewness influences optimal allocation in a risky asset, Submitted

2009

  1. Cardin M., Eisenberg B., Tibiletti L. (2009) "Bid and ask asset pricing through the Extended Gini premium principle: Sufficient and Necessary conditions for trading", Submitted, SSRN paper

  2. Eling M., Rossello D., Tibiletti L. (2009) “Portfolio Optimal Allocation through Skew Performance Ratios", Submitted

  3. Farinelli S., Ferreira M.,Rossello D., Thoeny M. and Tibiletti L. (2009) “Optimal asset allocation aid system: From "one-size" vs "tailor-made" performance ratio”, European Journal of Operational Research, Volume 192, Issue 1, 1 January 2009,  209-215 

  4. Eling M., Tibiletti L. (2009) " Good and bad news on capital market return ellipticity", Atlantic Economic Journal, Volume 37, Issue 2, June 2009, 209-210., 

2008

  1. Farinelli S., Tibiletti L. (2008) “Sharpe Thinking in Asset Ranking with One-Sided Measures”, European Journal of Operational Research, 185, 1542-1547 

  2. Tibiletti, L. (2008) " Value-at-Risk: is lacking in sub-additivity just an annoying technicality?" International Journal of Risk Assessment and Management, Volume 8 Nos ¾, 44-51.

  3. Farinelli, S., Ferreira, M., Rossello, D., Thoeny, M., Tibiletti, L. (2008), Beyond Sharpe Ratio: Optimal Asset Allocation using Different Performance Ratios, Journal of Banking and Finance, 32, 2057-2063.

  4. Fragnelli, V., Tibiletti L. (2008) Scegliere nell'incertezza: matematica e comportamenti razionali e irrazionali, in Mente ed economia. Come psicologia e neuroscienze spiegano il comportamento economico  (A. Antonietti e M. Balconi curatori) , 77-90

2007

  1. Venezian Emilio C., Tibiletti L. (2007) “Pricing the Default Risk on the Principle of Zero-Utility: Perturbation Method Approximations”, submitted

2006

  1. Tibiletti, L. (2006) A shortcut way of pricing default risk through zero-utility principle, Journal of Risk and Insurance, vol. 73, n.2., 303-308.

  2. Farinelli S., Rossello D. and Tibiletti L. (2006) “Computation Asset Allocation Using One-Sided and Two-Sided Variability Measures” in “International Conference on Computational Science 2006, Part IV, Lecture Notes in Computer Science 3994”, V.N. Alexandrov et al. (eds.), Springer Berlin / Heidelberg,. 324-331, 2006, ISSN: 0302-9743. 

  3. Tibiletti, L. (2006) “Higher Order Moments and Beyond”, in “Multi-moment Capital Asset Allocation and Pricing Models” , (Emmanuel Jurczenko and Bertrand Maillet eds.), John Wiley&Sons: Chichester (England), 67-77. ISBN 10: 0-470-03415-7

1993-2004

  1. Tibiletti, L. (2004), Pricing the default risk premium through fear of ruin, Atlantic Economic Journal, vol. 32, no. 4, December 2004, page 356. 

  2. Tasche D., Tibiletti L. (2004) “Approximations for the Value-at-Risk approach to risk-return analysis”, The ICFAI Journal of Risk Management, Vol. I, No. 4, September, 44-61. ISSN 0972-916X 

  3. Farinelli S., Tibiletti L. (2003) “Upside and Downside Risk with a Benchmark”, Atlantic Economic Journal, Anthology Section, vol. 31, n. 4, December, page 387. 

  4. Tasche D., Tibiletti L. (2003) “ A Shortcut to Sign Incremental Value-at-Risk for Risk Allocation”, Journal of Risk Finance, Winter 2003, Volume 4, Number 2, Pages 43 – 46. 

  5. Tibiletti L. (2001) “Incremental Value at Risk: traps and misinterpretations”, in Trends in Mathematics, (M. Kohlmann ed.) Birkhauser Verlag, Basel (Switzerland), 355-364. 

  6. Skogh G., Tibiletti L. (1999) "Compensation of Uncertain Lost Earnings", European Journal of Law and Economics, 8, 51-61.  

  7. Tibiletti, L. (1999) "The Paradox of Tax Full Compliance: A Solution-Key?, Atlantic Economic Journal, Antology Section, volume 27, n.3. 

  8. Tibiletti L. (1997) "Zero-Utility Premium and Time", in Lecture Notes in Economics and Mathematical Systems (C. Zopounidis ed.) Physica-Verlag, Heidelberg, 259-270. 

  9. Rossi G.A., Tibiletti L. (1997) "Further on the "principle of consistency" for absolutely continuous financial laws", in Scritti in onore di Giuseppe Ottaviani, Ed. Kappa, Roma, 269-273. 

  10. Tibiletti L. (1996) "Proper-Risk Aversion in Presence of Multiple Sources of Risk", in Modelling Techniques for Financial Markets and Bank Management (Bertocchi, M.; Cavalli, E.; Komlosi, S. eds.), Physica-Verlag, Heidelberg, 285-296. 

  11. Tibiletti L., Volpe E. (1996) "Higher order moments of a sum of random variables: remarks and applications", Ratio Mathematica, 11, 47-57. 

  12. Tibiletti, L. (1995) "Beneficial Changes in Random Variables via Copulas: An Application to Insurance", The Geneva Papers on Risk and Insurance Theory, 20, 191-202. 

  13. Tibiletti, L. (1994) "A Multicriteria Classification: An Application to Italian Mutual Funds", in Financial Modelling, Recent Research, (Peccati, L. and Virén, M. eds.), Physica-Verlag, Heidelberg, 49-59.

  14. Tibiletti, L. (1994) "A Non-linear Combination of Experts' Forecasts: A Bayesian Approach", Journal of Forecasting, vol. 13, 21-27.

  15. Tibiletti, L. (1994) "The Effects on Optimal Portfolios of Shifts on a Risky Asset: the Case of Dependent Risky Returns", in Financial Modelling, Recent Research (Peccati, L. and Virén, M. eds.), Physica-Verlag, Heidelberg, 197-208. 

  16. Tibiletti, L. (1994) "Shortfall-risk for Multiperiod Investment Returns", in Operations Research Models in Quantitative Finance  (D'Ecclesia, R. and Zenios, S. eds.), Physica-Verlag, Heidelberg, 172-184. 

  17. Montrucchio L., Tibiletti L. (1994) "Risk Aversion in the Small and Jensen Inequalities", Rivista di matematica per le scienze economiche e sociali, Anno 16, Fascicolo 2°, 21-37.

  18. Tibiletti, L. (1994) "Risk Premium for Higher Order Moments", Atlantic Economic Journal, Anthology section, vol. 22, n.3, sept., 82. 

  19. Tibiletti, L. (1993) "On a new notion of multidimensional quantile", Metron, vol. LI n.3-4, 77-83. 

  20. Tibiletti, L. (1993) "A Multicriteria Procedure for a Closed-end Selection of Candidates", Rivista dell'Associazione italiana di Ricerca Operativa AIRO, n.65, 61-74. 

  21. Bollani L., Tibiletti L. (1993) "Sulla valutazione della performance dei fondi comuni d'investimento: un metodo di segmentazione multicriteriale", Rivista milanese di economia, n.46, 98-106.

  22. Tibiletti,  L. (1985) "Confronto fra indici di remuneratività da redditi staccati", Il Risparmio, n.5, sett.-ott., 923-940.

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